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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: Non-Agency CMO | ABS
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS
Investment Grade
AVERAGE PRICE 93.5 * 100.0
Weighted Avg. Price 94.0 * 100.7
Avg. Price Bottom 5 Trades 79.8 * 86.1
2nd Quartile Price 87.4 * 99.1
3rd Quartile Price 96.5 * 100.4
4th Quartile Price 100.8 * 101.2
Avg. Price Top 5 Trades 102.0 * 103.8
Standard Deviation 7.5 * 2.4
VOLUME OF TRADES (000'S) 435,777.3 * 965,152.7
Customer Buy 206,514.2 * 503,753.7
Customer Sell 226,133.3 * 392,351.3
Dealer to Dealer 3,129.8 - 69,047.7
<= $1MM 10,281.0 - 41,084.5
<= $10MM 177,936.2 - 322,811.6
<= $100MM 247,560.1 - 601,256.6
> $100MM - * -
NUMBER OF TRADES 111 * 400
Customer Buy 52 * 147
Customer Sell 36 * 180
Dealer to Dealer 23 - 73
<= $1MM 50 - 268
<= $10MM 51 - 103
<= $100MM 10 - 29
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 73.1 - 112.0
Weighted Avg. Price 89.0 - 95.9
Avg. Price Bottom 5 Trades 15.8 - 29.7
2nd Quartile Price 49.8 - 97.4
3rd Quartile Price 79.1 - 100.3
4th Quartile Price 94.5 - 102.0
Avg. Price Top 5 Trades 165.9 - 382.2
Standard Deviation 30.6 - 115.2
VOLUME OF TRADES (000'S) 99,447.2 - 200,973.9
Customer Buy 47,776.8 - 74,983.0
Customer Sell 51,025.3 - 123,991.0
Dealer to Dealer 645.1 - *
<= $1MM 10,606.1 - 14,489.7
<= $10MM 88,841.0 - 157,639.1
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 158 - 76
Customer Buy 52 - 32
Customer Sell 80 - 42
Dealer to Dealer 26 - *
<= $1MM 127 - 35
<= $10MM 31 - 39
<= $100MM - - *
> $100MM - - -

Pricing Table: Non-Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE 86.5 - * 95.2
Weighted Avg. Price 90.3 - * 94.0
Avg. Price Bottom 5 Trades 80.4 - * 84.3
2nd Quartile Price 80.0 - * 88.8
3rd Quartile Price 88.1 - * 99.0
4th Quartile Price 95.0 - * 100.9
Avg. Price Top 5 Trades 96.6 - * 102.0
Standard Deviation 8.0 - * 6.4
VOLUME OF TRADES (000'S) 68.7 - * 435,510.2
Customer Buy * - - 206,501.6
Customer Sell 20.5 - - 226,112.8
Dealer to Dealer 35.6 - * 2,895.8
<= $1MM 68.7 - * 10,013.9
<= $10MM - - - 177,936.2
<= $100MM - - - 247,560.1
> $100MM - - - -
NUMBER OF TRADES 22 - * 86
Customer Buy * - - 49
Customer Sell 6 - - 30
Dealer to Dealer 13 - * 7
<= $1MM 22 - * 25
<= $10MM - - - 51
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.5 - - 101.3
Weighted Avg. Price 78.3 - - 101.4
Avg. Price Bottom 5 Trades 15.8 - - 98.9
2nd Quartile Price 46.0 - - 101.1
3rd Quartile Price 74.0 - - 102.0
4th Quartile Price 88.0 - - 102.6
Avg. Price Top 5 Trades 165.9 - - 102.4
Standard Deviation 30.7 - - 2.1
VOLUME OF TRADES (000'S) 53,216.2 - - 46,231.0
Customer Buy 23,091.8 - - 24,685.0
Customer Sell 29,479.3 - - 21,546.0
Dealer to Dealer 645.1 - - -
<= $1MM 5,606.1 - - 5,000.0
<= $10MM 47,610.0 - - 41,231.0
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 140 - - 18
Customer Buy 39 - - 13
Customer Sell 75 - - 5
Dealer to Dealer 26 - - -
<= $1MM 122 - - 5
<= $10MM 18 - - 13
<= $100MM - - - -
> $100MM - - - -

Pricing Table: Non-Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE - - - *
Weighted Avg. Price - - - *
Avg. Price Bottom 5 Trades - - - *
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - *
Standard Deviation - - - *
VOLUME OF TRADES (000'S) - - - *
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - *
NUMBER OF TRADES - - - *
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - *
Non-Investment Grade †
AVERAGE PRICE - - - -
Weighted Avg. Price - - - -
Avg. Price Bottom 5 Trades - - - -
2nd Quartile Price - - - -
3rd Quartile Price - - - -
4th Quartile Price - - - -
Avg. Price Top 5 Trades - - - -
Standard Deviation - - - -
VOLUME OF TRADES (000'S) - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -

* Indicates trade count is less than 5
† Includes Unrated Securities
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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